Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0326 |
| Annualized Std Dev | 0.2469 |
| Annualized Sharpe (Rf=0%) | -0.1321 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3463.0000 |
| NAs | 1.0000 |
| Minimum | -0.1261 |
| Quartile 1 | -0.0065 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1234 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0005 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0156 |
| Skewness | -0.5830 |
| Kurtosis | 8.1252 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0115 |
| Gain Deviation | 0.0105 |
| Loss Deviation | 0.0127 |
| Downside Deviation (MAR=210%) | 0.0161 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.7282 |
| Historical VaR (95%) | -0.0241 |
| Historical ES (95%) | -0.0392 |
| Modified VaR (95%) | -0.0255 |
| Modified ES (95%) | -0.0528 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | NA | -0.7282 | 3369 | 339 | NA |
| 2007-07-20 | 2007-08-16 | 2007-10-29 | -0.1668 | 71 | 20 | 51 |
| 2007-06-22 | 2007-06-27 | 2007-07-02 | -0.0182 | 7 | 4 | 3 |
| 2007-07-10 | 2007-07-10 | 2007-07-12 | -0.0136 | 3 | 1 | 2 |
| 2007-10-30 | 2007-10-30 | 2007-10-31 | -0.0128 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | -0.5 | -1.9 | 2.3 | 1.5 | -2.5 | 0.4 | -1.3 | -2.2 |
| 2008 | 2.7 | -4.3 | 1.8 | 0.7 | 1.1 | -1.9 | -1 | 0 | 0.1 | 2.7 | -8.2 | 3.2 | -3.6 |
| 2009 | -1.5 | 1.1 | 1.3 | 2.6 | 4.3 | 1.8 | 1.2 | -2.8 | -2.9 | -3.8 | 3 | -0.3 | 3.8 |
| 2010 | 2 | 0.8 | 1.6 | -1.1 | -1.8 | 1.1 | 0.1 | 3.8 | 0.9 | 0.1 | 2.5 | 0.6 | 10.9 |
| 2011 | 2.4 | -1.9 | 0.9 | 0.1 | -2.3 | 0.7 | -1 | -1.2 | -3 | -3.6 | -0.9 | 0.1 | -9.3 |
| 2012 | 1.2 | 1.4 | 1 | 0.8 | -2.1 | 3.7 | 0.1 | 1.4 | 0.7 | 0.6 | 0.2 | 1.9 | 11.2 |
| 2013 | 1.2 | -0.1 | -0.6 | -0.8 | -2.5 | 0.3 | 0.6 | -0.7 | 0.6 | -0.4 | -0.1 | 0.3 | -2.2 |
| 2014 | -1.5 | 0.5 | 0.5 | -0.2 | 0 | 0.7 | -0.6 | -0.2 | -1 | 0.7 | -0.7 | -0.9 | -2.6 |
| 2015 | -1.1 | 0.3 | 0.2 | 0.6 | -0.8 | 0.3 | 0.1 | -3 | 0.4 | 0.2 | 1.3 | -0.9 | -2.6 |
| 2016 | 0.1 | 2.7 | -0.8 | 0.1 | -0.4 | 0.5 | -1.2 | 0.5 | 0.9 | -0.1 | 0.5 | -0.3 | 2.4 |
| 2017 | 0.2 | 0.8 | 0.4 | 0.4 | 0.9 | -0.1 | 0.4 | 0.3 | 0.6 | 0 | 0 | 0.1 | 4.2 |
| 2018 | 0.7 | -0.6 | 0.4 | 0 | 0.2 | 0.3 | -0.8 | -0.9 | 0 | 1.5 | -0.5 | 0.3 | 0.4 |
| 2019 | 0.1 | 0.4 | 0.9 | -0.6 | -0.5 | 0.1 | -0.2 | 0.3 | -0.7 | 0.7 | -0.7 | 0.5 | 0.3 |
| 2020 | -1.2 | -1.1 | -4.7 | -2.9 | 2.8 | 0.6 | -1.6 | -0.2 | 0.4 | 0 | 2 | -0.9 | -6.8 |
| 2021 | 1.2 | 1.9 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-06-18 50.2 SPY 153. -0.00120 0.0105 0.0105 0.0905 0.212 0.341 0.508 GLD 65.0 0.0015 3.90e-3
2 2007-06-19 50.6 SPY 153. 0.0025 0.0242 0.0043 0.0873 0.230 0.346 0.472 GLD 65.5 0.0082 2.15e-2
3 2007-06-20 50.2 SPY 151. -0.0139 -0.0049 -0.0092 0.0548 0.222 0.330 0.440 GLD 64.7 -0.0118 2.80e-3
4 2007-06-21 50.7 SPY 152. 0.0056 -0.00580 -0.00290 0.0615 0.225 0.343 0.482 GLD 64.6 -0.0023 -6.00e-4
5 2007-06-22 50.2 SPY 151. -0.0094 -0.0165 -0.0124 0.0499 0.204 0.323 0.488 GLD 64.8 0.0034 -1.10e-3
6 2007-06-25 50.4 SPY 150. -0.00480 -0.02 -0.0081 0.0463 0.204 0.306 0.509 GLD 64.4 -0.0054 -8.00e-3
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
